Securitization Activities (Tables)

9 Months Ended

Sep. 30, 2016

Transfers and Servicing [Abstract]

Amount of Financial Assets Securitized and Cash Flows Received on Retained Interests

The table below presents the amount of financial assets securitized and the cash flows received on retained interests in securitization entities in which the firm had continuing involvement as of the end of the period.

	Three Months Ended September			Nine Months Ended September
$ in millions		2016	2015		2016	2015
Residential mortgages		$4,254	$2,056		$  9,152	$11,258
Commercial mortgages		1,123	3,506		1,873	8,255
Other financial assets		175	478		175	478
Total		$5,552	$6,040		$11,200	$19,991
Cash flows on retained interests		$   115	$     64		$     168	$     142

Firms Continuing Involvement in Securitization Entities to Which Firm Sold Assets

The table below presents the firm’s continuing involvement in nonconsolidated securitization entities to which the firm sold assets, as well as the total outstanding principal amount of transferred assets in which the firm has continuing involvement.

$ in millions	Outstanding Principal Amount	Retained Interests	Purchased Interests
As of September 2016
U.S. government agency-issued collateralized mortgage obligations	$26,735	$1,060	$  5
Other residential mortgage-backed	3,179	731	—
Other commercial mortgage-backed	3,255	26	—
CDOs, CLOs and other	2,664	63	11
Total	$35,833	$1,880	$16
As of December 2015
U.S. government agency-issued collateralized mortgage obligations	$39,088	$   846	$20
Other residential mortgage-backed	2,195	154	17
Other commercial mortgage-backed	6,842	115	28
CDOs, CLOs and other	2,732	44	7
Total	$50,857	$1,159	$72

In the table above:

• The outstanding principal amount is presented for the purpose of providing information about the size of the securitization entities in which the firm has continuing involvement and is not representative of the firm’s risk of loss.

• For retained or purchased interests, the firm’s risk of loss is limited to the carrying value of these interests.

• Purchased interests represent senior and subordinated interests, purchased in connection with secondary market-making activities, in securitization entities in which the firm also holds retained interests.

• Substantially all of the total outstanding principal amount and total retained interests as of September 2016 and December 2015 relate to securitizations during 2012 and thereafter.

• The fair value of retained interests was $1.88 billion and $1.16 billion as of September 2016 and December 2015, respectively.

Weighted Average Key Economic Assumptions Used in Measuring Fair Value of Firm's Retained Interests and Sensitivity of This Fair Value to Immediate Adverse Changes

The table below presents the weighted average key economic assumptions used in measuring the fair value of mortgage-backed retained interests and the sensitivity of this fair value to immediate adverse changes of 10% and 20% in those assumptions.

	As of
$ in millions		September 2016		December 2015
Fair value of retained interests		$ 1,819		$  1,115
Weighted average life (years)		5.1		7.5
Constant prepayment rate		10.8%		10.4%
Impact of 10% adverse change		$     (19	)	$      (22	)
Impact of 20% adverse change		(37	)	(43	)
Discount rate		3.9%		5.5%
Impact of 10% adverse change		$     (26	)	$      (28	)
Impact of 20% adverse change		(50	)	(55	)

In the table above:

• Amounts do not reflect the benefit of other financial instruments that are held to mitigate risks inherent in these retained interests.

• Changes in fair value based on an adverse variation in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value is not usually linear.

• The impact of a change in a particular assumption is calculated independently of changes in any other assumption. In practice, simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above.

• The constant prepayment rate is included only for positions for which it is a key assumption in the determination of fair value.

• The discount rate for retained interests that relate to U.S. government agency-issued collateralized mortgage obligations does not include any credit loss.

• Expected credit loss assumptions are reflected in the discount rate for the remainder of retained interests.